Risk-constrained dynamic portfolio management

MaRDI QIDQ3408233zbMATH OpenFDO

Authors Daniel Akume, Gerhard-Wilhelm Weber

Publication date 25 February 2010

zbMATH Keywords

portfolio optimizationrisk managementvalue-at-risktail conditional expectationpower utility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Dynamical systems in optimization and economics (37N40)

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• Dynamic investment strategies with demand-side and cost-side risks
• scientific article; zbMATH DE number 5846265 (Why is no real title available?)
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• Optimal pension fund management under risk and uncertainty: the case study of Poland

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